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1660s as a French word in English; nativized by 1758; from French ennui, from Old French enui "annoyance" (13c.), back-formation from enuier (see annoy). Hence ennuyé "afflicted with ennui;" ennuyée a woman so afflicted.
So far as frequency of use is concerned, the word might be regarded as fully naturalized; but the pronunciation has not been anglicized, there being in fact no Eng. analogy which could serve as a guide. [OED]